Boston File: Principal Components as a Measure of Systemic Risk (revere street 272-28 Implied Systemic Risk 03312010.pdf by Mark Kritzman, Yuanzhen Li, Sebastien Page, and Roberto Rigobon)  For discussion at the 20 April 2010 Boston QWAFAFEW meeting.

Boston File: Valuing and Funding Public Pension Liabilities (Valuing and Funding Public Pension Liabilities (final version) by John R. Minahan, CFA)

Boston File: Quantitative Investing Full-Day Seminar 11-19-9 (Quantitative Investing BSAS Nov 19, 2009.pdf by BSAS)

Boston File: Sales Certificates (SalesCertifsOnePager.pdf by Evan Schulman)

The discretionary wealth approach derives an appropriate risk aversion parameter from an extended balance sheet including present values of future financial commitments and sources of contribution to the investment portfolio.  It assumes the goal is long-run maximization of median wealth without hitting intermediate shortfall points.  In this, it supplies the…

Boston File: Liquidity Risk (Liquidity_Risk_PPT_02172009_QWAFAFEW.pdf by Sriketan Mahanti)

Harry Markopolos, CFA, former President of the BSAS and former member of Boston QWAFAFEW’s Steerage Committee, laments about lost opportunities. Anyone need a good fraud investigator? A good guess is that the SEC will take him much more seriously in the future!

Boston File: Harry Markopolos, Whistleblower Extraordinaire; former BSAS President and former member, Boston QWAFAFEW Steerage (Harry Markopolos Whistleblower Extraordinaire.pdf by Gregory Zuckerman and Kara Scannell of the WSJ) The saga of Harry’s nearly decade-long attempt to warn the SEC that Madoff was a fraud.

Boston File: Equity portfolio risk (volatility) estimation using market information and sentiment (Equity portfolio risk (volatility) estimation using market information and sentiment.pdf by Mitra, Mitra, and diBartolomeo)

Boston File: Risk Stabilization and Asset Allocation (Risk Stabilization and Asset Allocation at Quafafew Oct 08.pdf by André F. Perold Harvard Business School and HighVista Strategies)